UBS debuts Mexican equity algos

UBS has released algorithms for trading equities
on Mexico’s Bolsa Mexicana de Valores (BMV).

The new strategies comprise liquidity seeking, volume-based and
price-sensitive strategies, including UBS Tap, TapNow, Volume Inline, Price
Inline, Implementation Shortfall, Volume-weighted average price (VWAP),
Time-weighted average price (TWAP), Hidden, Float and Pairs algorithms. These
combine with UBS’s direct market access offering in Mexico, launched in November 2010, which allows to send
orders directly to the exchange without passing through an intermediary.

UBS clients can
now send both front-to-back DMA and algorithmic trading orders using execution
and order management systems from UBS or other major providers. UBS also
provides DMA and algorithmic trading into Brazil, as well as the emerging
markets of Europe, the Middle East, Africa and Asia to a total of 90 venues.

“Our experience offering DMA in this market has enabled us
to tailor our trading strategies specifically to the market structure of Bolsa
Mexicana, which means our international clients should have a seamless
experience as they trade into Mexico,” said Owain Self, global head of
algorithmic trading at UBS.

Algorithmic trading orders do not participate in the opening
auction at BMV. The exchange has no closing auction, so the closing price for a
stock is calculated as the VWAP of the last 20 minutes of trading. If no trades
occur in the last 20 minutes, then the last tick is used. UBS supports settlement
for trades on BMV in Mexican pesos only – not US dollars. The settlement cycle
is T+3.

Mexican broker-dealer Finamex released a set of four
opportunistic trading algos in the country in November. Those algos were
designed to allow users to gain arbitrage profits from trading US equities in
Mexico.

In December, Mexico confirmed that it plans to join the
Mercado Integrado Latino Americano
(MILA), the trading alliance that links the Chilean, Peruvian and Colombian
stock exchanges. The alliance allows order routing and cross-listing of stocks
between the member exchanges, providing a larger combined market to
international investors.